Tech Tips: The NAG Fortran Library, Random Number Generators and Time Series Analysis
Random Number Generators
New in Mark 20 of the NAG Fortran Library was a (pseudo) random number algorithm that makes up to 273 independent generators available. Two quasi-random number generators are also included. These can be particularly useful for multidimensional Monte Carlo methods. Please click the following link for more detailed technical information regarding Random Number Generators http://www.nag.co.uk/numeric/fl/manual/html/G05/g05_conts.html.
Time Series Analysis
The Time Series Analysis Chapter includes a number of routines for parameter estimation and forecasting for univariate regression GARCH, asymmetric GARCH and EGARCH processes. Please click on the following link for more detailed technical information regarding Time Series Analysis http://www.nag.co.uk/numeric/fl/manual/html/G13/g13_conts.html.
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